Organizing Committee: Anna Cieslak, Nuno Clara, Paymon Khorrami, Gill Segal, Andreas Stathopoulos
Location: JB Duke Hotel, Glaxo Classroom, 230 Science Drive, Durham
Dates: March 29-30, 2024
Schedule
Friday, March 29, 2024
| 12:00-1:00pm | Lunch at JB Duke | |
| 1:00-2:30pm | Government Debt and Convenience Yields | Chair: Anna Cieslak |
| Can U.S. Treasury Markets Add and Subtract? Roberto Gomez-Cram, Howard Kung, Hanno Lustig | Presenter: Howard Kung Discussant: Carolin Pflueger | |
| The Zero-Beta Interest Rate Sebastian Di Tella, Benjamin M. Hébert, Pablo Kurlat and Qitong Wang | Presenter: Pablo Kurlat Discussant: Will Diamond | |
| 2:30-3:00pm | Break | |
| 3:00-4:30pm | Macro and SDFs | Chair: Andreas Stathopoulos |
| Macro Strikes Back: Term Structure of Risk Premia and Market Segmentation Svetlana Bryzgalova, Christian Julliard, Jiantao Huang | Presenter: Svetlana Bryzgalova Discussant: Ian Dew-Becker | |
| What do financial markets say about the exchange rate? Mikhail Chernov, Valentin Haddad, Oleg Itskhoki | Presenter: Valentin Haddad Discussant: Rohan Kekre | |
| 4:30-5:00pm | Break | |
| 5:00-6:00pm | Keynote speech: Pete Kyle | Chair: Vish S. Vishwanathan |
| from 6:00pm | Drinks and Conference Dinner |
Saturday, March 30, 2024
| 8:30-10:00am | Drivers of Debt | Chair: Nuno Clara |
| Monetary Policy Wedges and the Long-term Liabilities of Households and Firms Jules H. van Binsbergen, Marco Grotteria | Presenter: Marco Grotteria Discussant: Vadim Elenev | |
| Microfounding Household Debt Cycles with Extrapolative Expectations Francesco D’Acunto, Michael Weber, Xiao Yin | Presenter: Xiao Yin Discussant: Sean Myers | |
| 10:00-10:30am | Break | |
| 10:30-12:00pm | Asset Prices and Quantities | Chair: Adam Reed |
| Demand-System Asset Pricing: Theoretical Foundations William Fuchs, Satoshi Fukuda, Daniel Neuhann | Presenter: Daniel Neuhann Discussant: Christian Opp | |
| How Effective are Portfolio Mandates? Jack Favilukis, Lorenzo Garlappi, Raman Uppal | Presenter: Jack Favilukis Discussant: Paymon Khorrami | |
| 12:00-1:00pm | Lunch at JB Duke | |
| 1:00-2:30pm | Finance and AI | Chair: Gill Segal |
| AI-Powered Trading, Algorithmic Collusion, and Price Efficiency Winston Wei Dou, Itay Goldstein, Yan Ji | Presenter: Itay Goldstein Discussant: Maryam Farboodi | |
| Generative AI and Firm Values Andrea Eisfeldt, Gregor Schubert, Bledi Taska, Miao Ben Zhang | Presenter: Miao Ben Zhang Discussant: Alex He |